At the end of June 2019, the 12-month-rolling loan maturity default rate for the European commercial mortgage-backed securities (CMBS) in S&P Global Ratings' rated universe remained constant at 0%, as a result of no loan having defaulted at maturity in the last 12 months.
There were no loans scheduled to mature between June 1, 2019, and June 30, 2019. However, two loans were repaid during this period; the Cottbus Shopping Centre loan in DECO 14 - Pan Europe 5 B.V. was repaid at a loss, and the Le Mirage loan in Oranje (European Loan Conduit No. 32) DAC was prepaid in full.
The number of delinquent loans decreased to 15 from 16, and the number for special serviced loans decreased to 16 from 17 (see tables 2 and 3).
Of the €30.1 billion outstanding loan balance, €1.33 billion is scheduled to mature in the coming 12 months.
The information below is as of June 30, 2019, unless stated otherwise.
Key Figures
The outstanding rated European CMBS balance increased to €30.1 billion from €29.8 billion. The senior loan delinquency rate decreased to 23.1% from 24.6% (see table 1).
Table 1
| European CMBS: Key Statistics | |||
|---|---|---|---|
| Variable | June 2019 | May 2019 | June 2018 |
| Collateral balance (bil. €) | 30.1 | 29.8 | 24.7 |
| Number of loans outstanding | 65 | 65 | 69 |
| Number of transactions outstanding | 52 | 50 | 50 |
| Senior loan delinquency rate (%) | 23.1 | 24.6 | 46.4 |
| 12-month rolling maturity default rate (%) | 0.0 | 0.0 | 12.5 |
| Proportion of loans in special servicing (%) | 24.6 | 26.2 | 49.3 |
Data notes
The figure for the total number of loans in European CMBS transactions that we rate excludes the loans in small-loan transactions, nonperforming loan (NPL) transactions, and commercial real estate collateralized debt obligations (CRE CDOs).
Loan Delinquencies And Cures
The number of loans in our delinquencies index decreased to 15 from 16. This change was due to the Cottbus Shopping Centre loan within the DECO 14 - Pan Europe 5 B.V. transaction repaying at a loss.
Table 2
| European CMBS Loan Performance | ||
|---|---|---|
| Loan developments | Number of loans | Number of transactions affected |
| Total delinquent | 15 | 9 |
| Total in special servicing | 16 | 10 |
Chart 1
Chart 2
Specially Serviced Loans
The number of loans in special servicing decreased to 16 from 17. The decrease was also due to the Cottbus Shopping Centre loan's repayment.
The loans in special servicing comprise mixed-use, retail, and office loans. The retail sector represents 41.4% of the total volume of loans in special servicing, compared with 34.6% for the office sector loans and 23.9% for mixed-use loans.
Table 3
| Specially Serviced Loans | ||||
|---|---|---|---|---|
| Transaction | Loan | Jurisdiction | Asset type | Comment |
| Additions | ||||
| - | - | - | - | - |
| Cures/resolved | ||||
| DECO 14-Pan Europe 5 B.V. | Cottbus Shopping Centre | Germany | Retail | The loan was repaid at a loss on May 29, 2019. |
Loan Maturities
Table 4
| European CMBS Loan Maturity Performance | ||
|---|---|---|
| Number of loans | Number of transactions affected | |
| Scheduled to mature | 0 | 0 |
| Repaid by maturity date | 0 | 0 |
Loan maturity performance
There were no loans scheduled to mature between June 1, 2019, and June 30, 2019.
Table 5
| Loan Maturities | ||||||
|---|---|---|---|---|---|---|
| Transaction | Loan | Jurisdiction | Asset type | Loan maturity date | Note final maturity date | Comment |
| - | - | - | - | - | - | - |
Loan maturity default rate and performance statistics
The maturity default rate remained at 0% (see chart 3). We calculate the 12-month-rolling loan maturity default rate based on the number of loans instead of the balance. This is to better reflect the overall performance of the collateral universe and avoid size bias.
Chart 3
Loan maturities
Table 6
| Loans Repaid | ||||||
|---|---|---|---|---|---|---|
| Transaction | Loan | Jurisdiction | Asset type | Loan maturity date | Note final maturity date | Comment |
| DECO 14—Pan Europe 5 B.V. | Cottbus Shopping Centre | Germany | Retail | Jan. 20, 2015 | Oct. 27, 2020 | The loan was repaid with a loss on May 29, 2019. |
| Oranje (European Loan Conduit No. 32) DAC | Desert Loan (Le Mirage) | Netherlands | Office | May 15, 2023 | Nov. 15, 2028 | The loan was prepaid in full on June 19, 2019; the notes will subsequently receive the associated proceeds in August 2019 at their next due payment date. |
No loans were scheduled to mature between June 1, 2019, and June 30, 2019. However, the Cottbus Shopping Centre loan in DECO 14 - Pan Europe 5 B.V. was repaid at a loss, and the Le Mirage loan in Oranje (European Loan Conduit No. 32) DAC was prepaid in full. For the Le Mirage loan, the notes will subsequently receive the associated proceeds in August 2019 at their next due payment date.
Table 7
| List Of Next Month's Maturing Loans | ||||||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Deal name | Loan name | Loan balance (€) | % of portfolio | Loan maturtiy date | LTV (%) | Servicer name | Specially serviced? | Number of properties | Asset type | Jurisdiction | Vacancy rate (%) | Comments | ||||||||||||||
| Deco 2014-Tulip Ltd. | The Orange Loan | 79822877 | 100 | 20-Jul-19 | 61.71 | Situs Asset Management Ltd. | N | 7 | Mixed Use | Netherlands | 16.81 | The borrower is in refinance and property sales discussions, with the intention of repaying the loan in full on the July 2019 IPD. | ||||||||||||||
| LTV--Loan to value ratio. | ||||||||||||||||||||||||||
The Orange Loan in Deco 2014-Tulip Ltd. is expected to mature on July 20, 2019.
Loan maturities data
Of the loans scheduled to mature within the next 12 months, 88.6% (by loan balance) are scheduled to mature in November 2019.
Chart 4a
Chart 4b
Ratings And Note-Level Matters
Rating actions
Between June 1, 2019, and June 30, 2019, we assigned ratings to two transactions, Pembroke Property Finance DAC and Scorpio (European Loan Conduit No.34) DAC, which had 13 notes in total.
Table 8
| European CMBS Rating Actions | ||
|---|---|---|
| Rating actions | Number of tranches | Number of transactions affected |
| New | 13 | 2 |
| Raised | 0 | 0 |
| Lowered | 0 | 0 |
| Affirmed | 0 | 0 |
| To CreditWatch negative | 0 | 0 |
| To 'D (sf)' | 0 | 0 |
| Total at 'D (sf)' | 55 | 16 |
| Redemptions | 1 | 1 |
Table 9
| List Of European CMBS Rating Actions | ||
|---|---|---|
| Transaction | Article | Publication date |
| Pembroke Property Finance DAC | Ratings Assigned To Irish CMBS Transaction Pembroke Property Finance | June 4, 2019 |
| Scorpio (European Loan Conduit No.34) DAC | Ratings Assigned To Scorpio (European Loan Conduit No. 34) DAC's CMBS Notes | June 10, 2019 |
Appendix
Table 10
|
Delinquencies |
||||
|---|---|---|---|---|
| Transaction | Loan | Jurisdiction | Asset type | Comment |
| Additions | ||||
| - | - | - | - | - |
| Cures/resolved | ||||
| DECO 14—Pan Europe 5 B.V. | Cottbus Shopping Centre | Germany | Retail | The loan was repaid with a loss as on May 29, 2019. |
Table 11
| Special Servicing Index | |||||
|---|---|---|---|---|---|
| Transaction | Loan | Month added | Jurisdiction | Asset type | Special Servicer |
| DECO 14—Pan Europe 5 B.V. | CGG- Tambelle REDO 3 | July 2013 | Germany | Mixed Use | Situs Companies (The) |
| DECO 14—Pan Europe 5 B.V. | Arcadia | March 2010 | Germany | Mixed Use | Situs Companies (The) |
| DECO 11 - UK Conduit 3 PLC | Wildmoor Northpoint Limited | April 2010 | UK | Retail | Solutus Advisors Ltd. |
| DECO 11 - UK Conduit 3 PLC | CPI Retail Active Management | November 2010 | UK | Retail | Solutus Advisors Ltd. |
| Windermere X CMBS Ltd. | Built | September 2011 | Germany | Retail | Situs Companies (The) |
| NEMUS II (Arden) PLC | Fern | April 2013 | UK | Office | CBRE Loan Services Ltd. |
| Windermere X CMBS Ltd. | IFB and Pavia Fortress I | May 2016 | Italy | Office | Mount Street Loan Solutions LLP |
| Windermere X CMBS Ltd. | Naples Enel Tower Fortress II | April 2016 | Italy | Office | Mount Street Loan Solutions LLP |
| Epic (Drummond) Ltd. | Project Magnum | January 2014 | Germany | Retail | The Royal Bank of Scotland PLC |
| DECO 14—Pan Europe 5 B.V. | Mansford Nord Bayern | December 2012 | Germany | Retail | Situs Companies (The) |
| Taurus CMBS (Pan-Europe) 2007-1 Ltd. | The Fishman JEC Portfolio | May 2014 | France | Mixed Use | Link ASI Ltd. |
| JUNO (ECLIPSE 2007-2) Ltd. | PRINS_BOUDEWIJN | February 2015 | Belgium | Office | Link Asset Services (London) Ltd. |
| Titan Europe 2006-5 plc | Quartier 206 Shopping Centre Loan | April 2010 | Germany | Mixed Use | Situs Companies (The) |
| DECO 11 - UK Conduit 3 PLC | Mapeley Gamma | October 2012 | UK | Office | Solutus Advisors Ltd. |
| Debussy DTC PLC | Toys R Us UK Properties | February 2018 | UK | Retail | CBRE Loan Services Limited |
| Elizabeth Finance 2018 DAC | Maroon loan | May 2019 | UK | Retail | CBRE Loan Services Limited |
Table 12
| Special Notice Tracker | ||
|---|---|---|
| Transaction | Loan | Special notice topic |
| DECO 8 - UK CONDUIT 2 PLC | Transaction Level Notice | Property Sales |
| STABILITY CMBS 2007-1 GmbH | Transaction Level Notice | Other |
| DECO 14 - Pan Europe 5 B.V. | Cottbus Shopping Centre | Repaid |
| Elizabeth Finance 2018 DAC | Maroon loan | Loan event of default |
| Debussy DTC PLC | Transaction Level Notice | Other |
| Elizabeth Finance 2018 DAC | Maroon loan | Loan event of default |
| Intu (SGS) Finance PLC | Transaction Level Notice | Other |
| Libra (European Loan Conduit No. 31) DAC | Transaction Level Notice | Other |
| Oranje (European Loan Conduit No. 32) DAC | Transaction Level Notice | Other |
| Tesco Property Finance 4 PLC | Transaction Level Notice | Property Valuation |
| Tesco Property Finance 5 PLC | Transaction Level Notice | Property Valuation |
| Tesco Property Finance 6 PLC | Transaction Level Notice | Property Valuation |
| Oranje (European Loan Conduit No. 32) DAC | Desert Loan (Le Mirage) | Loan repayment |
| UNITE (USAF) II PLC | Transaction Level Notice | Other |
| Patrimonio Uno CMBS S.r.l. | Project Patrimonio | Property Sales |
| Salus (European Loan Conduit No. 33) DAC | Transaction Level Notice | Other |
| Elizabeth Finance 2018 DAC | Maroon loan | Loan event of default |
| Patrimonio Uno CMBS S.r.l. | Project Patrimonio | Property Sales |
Related Criteria
- Counterparty Risk Framework Methodology And Assumptions, March 8, 2019
- Incorporating Sovereign Risk In Rating Structured Finance Securities: Methodology and Assumptions, Jan. 30, 2019
- Structured Finance: Asset Isolation And Special-Purpose Entity Methodology, March 29, 2017Structured Finance Temporary Interest Shortfall Methodology, Dec. 15, 2015
- Global Framework For Cash Flow Analysis Of Structured Finance Securities, Oct. 9, 2014
- Global Framework For Assessing Operational Risk In Structured Finance Transactions, Oct. 9, 2014
- Methodology Applied To Bank Branch-Supported Transactions, Oct. 14, 2013
- Global Rating Methodology For Credit-Tenant Lease Transactions, July 22, 2013
- European CMBS Methodology And Assumptions, Nov. 7, 2012
- Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings, Oct. 1, 2012
- CMBS Global Property Evaluation Methodology, Sept. 5, 2012
- Criteria Methodology Applied To Fees, Expenses, And Indemnifications, July 12, 2012
- Principles Of Credit Ratings, Feb. 16, 2011
- Methodology: Credit Stability Criteria, May 3, 2010
- Global Methodology For Rating Interest-Only Securities, April 15, 2010
- Use Of CreditWatch And Outlooks, Sept. 14, 2009
- Understanding S&P Global Ratings' Rating Definitions, June 3, 2009
- Standard & Poor's Revises Criteria Methodology For Servicer Risk Assessment, May 28, 2009
- Weighing Country Risk In Our Criteria For Asset-Backed Securities, April 11, 2006
- European CMBS Loan Level Guidelines, Sept. 1, 2004
Related Research
- European CMBS Monthly Bulletin (June 2019), June 24, 2019
- S&P Global Ratings Definitions, Oct. 31, 2018
- 2017 EMEA CMBS Scenario And Sensitivity Analysis, July 6, 2017
- Application Of Property Evaluation Methodology In European CMBS Transactions, April 28, 2017
- Global Structured Finance Scenario And Sensitivity Analysis 2016: The Effects Of The Top Five Macroeconomic Factors, Dec. 16, 2016
- European Structured Finance Scenario And Sensitivity Analysis 2016: The Effects Of The Top Five Macroeconomic Factors, Dec. 16, 2016
This report does not constitute a rating action.
| Primary Credit Analyst: | Oliver Thomas, London + 44 20 7176 8589; Oliver.Thomas@spglobal.com |
| Secondary Contact: | Mathias Herzog, Frankfurt (49) 69-33-999-112; mathias.herzog@spglobal.com |
| Research Contributor: | rohit nair, CRISIL Global Analytical Center, an S&P affiliate, Mumbai; Rohit.Nair@spglobal.com |
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